Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0061
Annualized Std Dev 0.0445
Annualized Sharpe (Rf=0%) 0.1374

Row

Daily Return Statistics

Close
Observations 3571.0000
NAs 1.0000
Minimum -0.0593
Quartile 1 -0.0005
Median 0.0001
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0006
Maximum 0.0651
SE Mean 0.0000
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0028
Skewness -0.6845
Kurtosis 189.0896

Downside Risk

Close
Semi Deviation 0.0021
Gain Deviation 0.0024
Loss Deviation 0.0029
Downside Deviation (MAR=210%) 0.0087
Downside Deviation (Rf=0%) 0.0021
Downside Deviation (0%) 0.0021
Maximum Drawdown 0.1338
Historical VaR (95%) -0.0022
Historical ES (95%) -0.0056
Modified VaR (95%) NA
Modified ES (95%) -0.1629
From Trough To Depth Length To Trough Recovery
2020-03-06 2020-03-19 2020-06-10 -0.1338 67 10 57
2008-03-03 2008-10-10 2009-07-22 -0.1246 351 156 195
2016-07-01 2018-12-04 2019-05-31 -0.0320 733 612 121
2010-11-01 2011-12-02 2012-07-31 -0.0172 441 276 165
2010-03-17 2010-06-04 2010-07-23 -0.0150 90 56 34

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -0.2 -0.7 0 -0.4 -0.5 0.2 -0.4 0 -0.5 -0.1 -0.2 0.1 -2.9
2008 -0.2 0.3 -0.7 -0.2 -0.1 -0.3 -0.4 -0.1 1.5 -0.3 0.9 -0.1 0.3
2009 0.1 -0.5 -0.6 -0.4 -0.2 -0.5 0.5 -0.2 -0.5 0.1 -0.2 0 -2.3
2010 -0.3 -0.1 -0.2 0 -0.3 0.1 0.2 -0.2 -0.1 -0.1 -0.3 0.2 -1.1
2011 -0.3 -0.2 -0.3 0 0 -0.3 0.1 -0.1 -0.1 -0.2 -0.2 0 -1.7
2012 -0.2 -0.1 -0.1 0 -0.3 0 -0.1 0.1 -0.4 -0.2 0.1 0.1 -1.2
2013 0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 0 -0.1 -0.1 0 0.1 -1
2014 0 0 -0.1 -0.1 0 -0.1 0.1 0.1 0 0 -0.1 0.1 -0.1
2015 0 0 -0.1 0 -0.2 -0.2 0.1 0 -0.1 0.1 -0.1 0.1 -0.3
2016 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 0.1 -1.2
2017 -0.2 -0.2 0 -0.2 -0.1 0 -0.2 -0.1 0 -0.2 -0.1 0 -1.3
2018 -0.2 -0.1 0 -0.2 -0.2 0 -0.2 0.1 -0.2 -0.1 -0.1 0 -1.3
2019 -0.3 -0.4 -0.5 -0.4 0.2 -0.3 0.1 0 -0.1 -0.3 0 -0.1 -1.9
2020 0.2 0.4 -0.8 -0.3 -0.2 0 0.1 -0.1 -0.1 0 -0.3 0 -1.1
2021 -0.1 -0.1 0 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-11  50.1 SPY    142.  0.0044   0.0035   0.0052   0.0509    0.103    0.265    0.230 GLD    60.6  0.0007  -0.0165
2 2007-01-12  50.1 SPY    143.  0.0076   0.0192   0.0099   0.0602    0.108    0.265    0.234 GLD    62.2  0.0254   0.0332
3 2007-01-16  50.1 SPY    143. -0.002    0.0125   0.0087   0.049     0.110    0.270    0.244 GLD    62.0 -0.0032   0.0246
4 2007-01-17  50.1 SPY    143.  0.0004   0.0138   0.0081   0.0468    0.111    0.260    0.252 GLD    62.6  0.0108   0.0294
5 2007-01-18  50.1 SPY    143. -0.0034   0.0071  -0.0041   0.0417    0.111    0.253    0.238 GLD    62.3 -0.0061   0.0276
6 2007-01-19  50.1 SPY    143.  0.002    0.0046   0.0034   0.047     0.117    0.250    0.266 GLD    63    0.0119   0.0391
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart